財務比率建立財務危機預警模型之實證研究－合併財務報表與母公司財務報表之比較

莊鎮嶽(Chen-Yueh Chuang)

指導教授 ： 王泰昌

共同指導教授 ： 劉嘉雯

國立臺灣大學/管理學院/會計學研究所/碩士(2005年)

https://doi.org/10.6342/NTU.2005.00194

摘要

企業集團爆發財務危機時有所聞，如何在財務危機爆發前建立一套完善的危機預警制度一直是極為重要的課題。本研究旨在結合合併報表與財務危機預警制度之研究，藉由母公司財務報表與合併財務報表所建構之財務危機預警模型，探討合併財務報表與母公司財務報表之相對財務危機預警的能力，及兩報表之資訊內涵是否有異。
本研究以Logit建立財務危機預警模型，並以各模型之預測正確率及AR（Accuracy Ratio）進行檢定。主要實證結果如下：
一、本研究採用跨產業與單一產業兩種模式建立財務危機預警模 型，實證結果顯示兩種模式下合併財務報表與母公司財務報表所建構之財務危機預警模型其危機之預測能力並無相對較佳者。
二、合併財務報表與母公司報表之建立樣本（In-sample）在單一產業模式下預警能力顯著優於跨產業模式，測試樣本（Out-of-sample）在兩模式之預警能力則無顯著差異。
三、本研究採用分類正確率及精準度（Accuracy Ratio），衡量各模式的預測能力。分類正確率涉及臨界點的選取，結果無法完全客觀，因此精準度為本研究衡量結果之主要依據。

關鍵字

合併財務報表 ； 財務危機 ； Logit模型

並列摘要

With the rise of enterprise financial crisis, it has been an important issue to build an effective warning mechanism. The purpose of the study is to build effective financial distress predicting models by combining the research of the parent corporations’ consolidated financial statements and stand alone financial statements, and to probe into the relative crises predicting power and the information content underlying in the above mentioned financial statements.
The financial distress predicting model of the study is established by applying logistic regression and evaluating the performances of models with the correctly predicting percentage and Accuracy Ratio (AR). The findings of the study are summarized as follows:
I. It is found that the predicting powers of the two different predicting models built by the consolidated financial statements and the stand alone financial statements of the parent corporation are similar. .
II. The empirical findings indicate that if in-sample is applied, the predicting model built from a single industry is superior to the model built from cross industries, and the difference is statistically significant. But out-of-sample can not lead to the same conclusion.
III. Because the correctly predicting percentage is involved in the selection of cut-off-point and is not objective, Accuracy Ratio is the main tool used to evaluate the performance of models.

並列關鍵字

consolidated financial statements ； financial crisis ； Logit model

參考文獻

6.陳彥翰，Logistic Discrete Hazard Model在信用風險上之應用，國立台灣大學會計學研究所碩士論文，民國九十三年。

14.張惠貞，「新修訂合併財務報表之影響剖析」，會計研究月刊232期，民國九十四年三月。

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